Investing Research Articles

Business media and expert commentators sometimes cite the monthly University of Michigan Consumer Sentiment Index as an indicator of U.S. economic and stock market health, generally interpreting a jump (drop) in sentiment as good (bad) for future consumption and stocks. The release schedule for this indicator is mid-month for a preliminary reading on the current… Keep Reading

Do the choices researchers make when constructing factor portfolios to explain stock returns materially affect their findings? In their June 2022 paper entitled “Mind Your Sorts”, Amar Soebhag, Bart van Vliet and Patrick Verwijmeren examine the extent to which such construction choices affect factor performance. They consider 11 distinct long-short factors as used in widely… Keep Reading

A subscriber asked whether the Turn-of-the-Month (TOTM) effect applies to currencies. To investigate, as in the past, we define TOTM as the interval from the close five trading days before to the close four trading days after the last trading day of the month (a total of eight trading days, centered on the monthly close)…. Keep Reading

A subscriber asked about the relationship between the high-yield bond spread and stock market return, with focus on when the latter is entering a bear market. To investigate, we use the ICE BofA US High Yield Index Option-Adjusted Spread (HY Spread) as a proxy for the high-yield bond spread and SPDR S&P 500 ETF Trust… Keep Reading

Below is a weekly summary of our research findings for 6/27/22 through 7/1/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

What determines whether a stock will exhibit short-term momentum or short-term reversal? In their May 2022 paper entitled “Short-term Relative-Strength Strategies, Turnover, and the Connection between Winner Returns and the 52-week High”, building upon prior research, Chen Chen, Chris Stivers and Licheng Sun investigate interactions among proximity to 52-week high, share turnover and 1-month return… Keep Reading

The 10-month simple moving average (SMA10) is a widely studied trend-following technical indicator for the U.S. stock market. How much value does it add? To investigate, we compare: SMA10 – A strategy that is each month in SPDR S&P 500 ETF Trust (SPY) when the S&P 500 Index is above its SMA10 at the end… Keep Reading

Does a simple relative momentum strategy applied to tradable U.S. Treasury term structure proxies produce attractive results by picking the best duration for exploiting the current interest rate trend? To investigate, we run short-term and long-term tests. The short-term test employs five exchange-traded funds (ETF) to represent the term structure: SPDR Barclays 1-3 Month T-Bill… Keep Reading

Are preferred stock strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider seven of the largest preferred stock ETFs, all currently available, in order of longest to shortest available histories: Invesco Financial Preferred (PGF) – generally invests at least 90% of assets in preferred securities of financial institutions. iShares Preferred and Income… Keep Reading

The middle of the year might be a time for funds to dress their windows and investors to review and revise portfolios. The 4th of July celebration might engender optimism among U.S. investors. Are there any reliable patterns in daily U.S. stock market returns around mid-year and the 4th of July? To check, we analyze… Keep Reading